Numerical Evaluation of Multivariate Contingent Claims
成果类型：
Article
署名作者：
Boyle, Phelim P.; Evnine, Jeremy; Gibbs, Stephen
署名单位：
University of California System; University of California Berkeley; University of Waterloo
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/2.2.241
发表日期：
1989
页码：
241
关键词：
摘要：
We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an n-dimensional extension of the lattice binomial method. Closed-form solutions for the jump probabilities and the jump amplitudes are obtained. The accuracy of the method is illustrated in the case of European options when there are three underlying assets.
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